Stochastic Processes – Practice Problem Set 1

Date: 2023.02.27

1. A box contains three marbles: one red, one green, and one blue. Consider an experiment
that consists of taking one marble from the box then replacing it in the box and drawing
a second marble from the box. What is the sample space? If, at all times, each marble in
the box is equally likely to be selected, what is the probability of each point in the sample
space?

2. A coin is to be tossed until a head appears twice in a row. What is the sample space for this
experiment? If the coin is fair, what is the probability that it will be tossed exactly four
times?

3. Prove the Boole’s inequality:

!"
n # $n
P Ei ≤ P(Ei ).
i=1 i=1

4. Given any set Ω, the power set P(Ω) is the largest σ-algebra on Ω and {∅, Ω} is the smallest
σ-algebra on Ω. Give an example of σ-algebra F on Ω such that {∅, Ω} ⊂ F ⊂ P(Ω).

5. Let A1 and A2 be two σ-algebras on the sample space Ω. Show that A1 ∩ A2 is a σ-algebra
on Ω and give an example that A1 ∪ A2 is not a σ-algebra.

6. An urn contains five red, three orange, and two blue balls. Two balls are randomly selected.
what is the sample space of this experiment? Let X represents the number of orange balls
selected. What are the possible values of X? Calculate P(X = 0).

7. Suppose a coin having probability 0.7 of coming up heads is tossed three times. Let X
denote the number of heads that appear in the three tosses. Determine the probability mass
function of X.

8. Suppose the distribution function of X is given by




 0, b < 0




 1
F(b) = 
 , 0≤b<1



2


 1, 1 ≤ b < ∞.

What is the probability mass function of X?

1
 9. Let X be a random variable with probability density function


 2
 c(1 − x ), −1 < x < 1

f (x) = 


 0, otherwise.

What is the value of c? What is the distribution function of X?

10. Let X and W be the working and subsequent repair times of a certain machine. Let Y = X+W
and suppose that the joint probability density function of X and Y is

fX,Y (x, y) = λ2 e−λy , 0 < x < y < ∞.

(a) Find the probability density function of X.

(b) Find the probability density function of Y.

(c) Find the joint probability density function of X and W.

(d) Find the probability density function of W.

11. For the events E1 , E2 , · · · , En , show that

P(E1 ∩ E2 ∩ · · · ∩ En ) = P(E1 )P(E2 |E1 )P(E3 |E1 ∩ E2 ) · · · P(En |E1 ∩ · · · ∩ En ).

12. If events A, B and C are mutually independent, then show that events Ac , Bc and C c are also
mutually independent.

13. Consider the experiment which consists in throwing a fair die. Define X the random variable
which is the number obtained. Define the random variable Y which equals 1 if X is even,
and equals 0 if X is odd.

(a) Find the joint distribution function of X and Y.

(b) Are X and Y independent?

14. Let X has a standard normal distribution, i.e, mean is 0 and variance is 1, and H is Bernoulli
distributed with
P(H = 1) = P(H = 0) = 12 .

Let Y = X if H = 1 and Y = −X if H = 0. Show that

(a) Y is also a standard normal random variable.

(b) X and Y are uncorrelated.

(c) X and Y are not independent.

2
 n
$
15. Let A1 , A2 , · · · , An are independent events and P(Ai ) = 1.
i=1

)n
1
(a) Show that P( P(Ai )) ≤ n .
i=1
n
(b) Use (a) to show that P(A1 ∪ A2 ) ≥ 34 .

16. An urn contains 2n balls, of which r are red. The balls are randomly removed in n successive
pairs. Let X denote the number of pair in which both balls are red.

(a) Find E(X).

(b) Find Var(X).

17. If X is a nonnegative integer valued random variable, show that

∞
$ ∞
$
E(X) = P(X ≥ n) = P(X > n).
n=1 n=0

18. Let the probability density function of the random variable X is given by



 2(1 − x), 0 ≤ x ≤ 1

f (x) = 


 0, otherwise .

(a) Find E(X).

(b) Find Var(X).

19. The pair (X, Y) is jointly distributed with the following parameters:

E(X) = 3, E(Y) = 4, E(XY) = 15, E(X 2 ) = 11, Var(Y) = 5.

Find Var(3X − 2Y).

20. If the joint probability density function of X and Y is given by

2
fX,Y (x, y) = (x + 2y) for 0 ≤ x ≤ 2, 0 ≤ y ≤ min{2x, 3 − y}.
13

Find E(X), E(Y), E(X 2 ), E(XY) and Cov(X, Y).

21. Suppose that each coupon obtained is, independent of what has been previously obtained,
equally likely to be any of m types. Find the expected number of coupons one needs to
obtain in order to have at least one of each type.

3
22. When dropped on a hard surface a thumbtack lands with its sharp point touching the surface
with probability 23 ; it lands with its sharp point directed up into the air with probability 13 .
The tack is dropped and its landing position observed 15 times.

(a) Find the probability that it lands with its point in the air at least 7 times.

(b) If the experiment of dropping the tack 15 times is done repeatedly, what is the average
number of times it lands with its point in the air?

23. In the last 100 years, there have been 93 earthquakes measuring 6.0 or more on the Richter
scale. What is the probability of having 3 earthquakes in the same year that all measure 6.0
or more?

24. Show that if X and Y are independent Poisson random variables with parameters λ and µ,
respectively, then Z = X + Y is a Poisson random variable with parameter λ + µ.

25. Let X1 , X2 , · · · , Xn be n mutually independent random variables, each of which is uniformly

distributed on the integers from 1 to k. Let Y denote the minimum of the Xi ¡¦s. Find the
distribution of Y.

26. A dice is rolled until the first time T that a six turns up.

(a) What is the probability distribution for T ?

(b) Find P(T > 3).

(c) Find P(T > 6|T > 3).

27. Let X be an exponential random variable with parameter λ. Show that X has the memoryless
property:
P(X > x + y|X > x) = P(X > y), for any x, y > 0.

28. Students arrive at a local bar and restaurant according to an approximate Poisson process
at a mean rate of 30 students per hour. What is the probability that the bouncer has to
wait more than 3 minutes to card the next student?

29. Assume the time Y to fix a car is approximately a gamma with mean µ = 2 hours and
variance σ2 = 2 hours2 .

(a) What is the probability density function of Y?

(b) What is the chance of waiting at most 4.5 hours?

4
30. Let X and Y be independent normal random variables with mean µX and µY and variances
σ2X and σ2Y , respectively. Find Var(XY).

To be continued....... Var ( XY )

E (X Y }
"

( X ) E ( YY
2
=
E

Thm If XI Y
'

h
:
,
and
g ,
are ontinnous fon ,

Then 1≡ ( g ( x ) h ( x ) ) = E (g (x ) ) E ( h (x 1 )
x

5
 彈珠

R @⑩
①
≈= { (R ;
R) , (
1R ,
G) ,
(R ,
13 )
, ( , R ,( , G
G
)
G
)
, ( ,B
G
)
,( ,R ,(
B ) B
,G )
,( , B)
B }

5s
Theprobability ofeachpoint i 5 5 i x =

Sample space T
{ HH THH HTHH H
: TTHH
, I
HTHHH HTTTHHT , ,
…

,
, -

4 times :
{ HTHH ,
TTHH 了 ,

字
*

P ( EHTHH ,
TTHH } ) =ε) + ( i ) Ψ=
,
 For n = 2 ∵ P( E VE ) = P (E ) + P (E) -

P (E Λ ,
E )
, , 2 ,

P (E ,
UE ) .
+ P (E , ΛE 2 ) =
P (E ) .
+ P (E ) 2

∵PIE , Λ 2 E ) ≥
0

P ( E UE . 2 ) ≤ P( )
E ,
+ P (E ) 2
,
( 8)

Suppose m = k tzue , i
.
e, P( 組 i ) ≤ P EK ) ( (* )

For n = k +
1
,P ( Ei ) =P ( EiUE
※
1 + )
0

≤ P ( )+ P ( E +)

点川 P ( Ei
Ʃ

≤
*
) + P ( EN
i ⼆ ( Ei ⻔
=

By Induction
,
P( ※ Ei ) ≤ ⾶ PIEY

Let 2 =
{1 ,
2
,
3}
,
P ( R >= { } ,
{ } { } , { } , { , } , 1 , 33 , 红 3 } { 12 33
z 3 1
2
{ {
,
, ,

F =
{ 弦中
{ 3 { 3} { , , , 红
,
,
2

≈ {p R } CFCP [ ) ,
Then F is algebraon
R

a 5 .
-
,
 ) Let BEA MA . 2 BEA ,
and B εA ,

= B EA
'

,
and BEAz (∵ A , A
2 are 5 -
algebra , !

'
B EA MA . 2 ,

Let 131 , Bi ,B 7 B, , , Bj EA and

GA Λ A " B, Br B 3 EA
"

:
,
. 2
1 B ,
…

2
, , 2
,

※ BitA , and
BiEA :

鼠 BicA .
MAz

Hence AiMAr is a 5 -

algebra on 2
,
ii (
)
give an
examplefr A . UAr not a 5

-
algebra on 2 ,

Let 2 { 1 2 3} A =
{☆ { , 红 3 } { , , 3} , = { 钟 { 红} {1 ,
3} { , ,}
2
, , , ,
,
1 2
} A , , ,

, ,
{

A ,
Ar are 5 -

algebra ,

EAUA
EBEAUA 2 YFor
红了 {

But { 1 BU { 2 } =
{1 ,
23 EA . UAL

∴
A UA
, . is not a 5 -

algebra .

※
 } =
{ RR ,
RO , RB , OO , OB , BB

5R 30 2 B
^ x
=
{0 ,
1 ,
23

P( x = 0 ) = P ( { RR RB BB}
, , J
5
CI + c , ci + C⽓
=

C ?

110
10 ++ 惕
=
=

45 亭

λx =
{ 0
,
1 2
,
3 } ,

X ~
Bin ( 3
,
0 m )
.

3
3
( ( 0 3) = 0027
P (x
=
) ,
.

=>

} 2

P (x = 1 ) =
( (0 7 ) ( 0
.

,
3) =
0
.
189
,

? ^

P (X = 2) =
C :
(a 7 ) .
() .
3) = 0
.
441

P( x = )) =
( } ( 0 . n ) = 0 . 34 )
M
 =Ʃ
八

)
P(X = 0

{
|

↑…"
=Ʃ
,

。 。
τ
P(X
、

P (x : 》 : 1)
“ > b
!
,

SI f ( x
=
-
) dx = Sicll - xYdx
=
cS ! ( ~ xydx

5x | ! )
3
=
c ( x -

= [ [ ( 1-5 )

- (

- 1 +分 ]
⼭

C
=
5

⽜ C
= 义

λ≤
1

{!
XC 1
-

,
sit
,

F (
x1 : (

lityt
I, ( * jx +
),

λ 〉 !
I
,

1
,

”
,
x
,
 ⼼ Yxcy
x =

) x

*" |:
^x
e
a) fx (x )
iexYdyg
=λ= e y
=λ
,
o < xc ∞
,

Re
bbts ( y
1Y
S dxyykey
. *
=
s ,

《) Let
{ w
U

:
=

yx
X
{Y
x =

=
U

utm
→ 丁 :

|∵|= 只 1 = 1
,

∴ f mlu ,
w ) = fxislU ,
u + w
) , 11
0

∞<
,

< Uc
( uta
{
-
入
U <U + Wc ∞=
=λie )
, <
wc ∞ ,

" lxtw
fx
e

∴
, n ( x
, w ) = λ= , O < XCs , < m .
∞ ,

(x + ' ^ " " ^*

g
"

dd ) fwln ,Re
=
入
)
S
^e dx
= e
,
dx

**

( =∞ )
^m
= e .

( -

λ e x

⼀八 W
=
入 e xc ∞
.
.

M
 .

PLE MEr )
For P(E | E , ) P (E ME PIE 、 ) P ( E 21 E ) 14 )
,

n = 2 ∵
2
= → , 、
1 =
.
…

" -
,
"

Jupposen = ktrue ,
ie , P ( E Λ E ,
2
^ …

Λ E ) = P
( E . IP ( E = 1
E } ( P E >1E , ME 2 ) … . P
( E 11 E , … MEk
1) Λ
)
F rn , = k+ 1 ,
P ( E ME , ^ - Λ
EK + , ) =
P[ ( EME 2 Λ … Λ
EK ) MEK + 1 ]
IPA LEMEIMMEKIPEK | E ,A .

MEK )

,
*
= p ( E P ( E 21 E
)
] PCE 3 | EMEr ) . . P
( EE Λ " F 10 - 1 ) . P ( Fk E
, Λ |
.

ΛΛ EK )

ByInduction , PLE , E Λ. Λ En ) = P 1 E ) ( E E , ) PE , 1 EME , P ( En | E ΛΛ Eni

)
Λ
2

… P |
)

☆①
ACnB ^= AUB )
P ( A ) P (B )
∵

P ( AMB ) =

{
“
P ( ANB )
(
= P (A ΛB ) =|
P (A^ P (A) P(C )
-

C) =

( AAMB ]
=| +A
P [ P ( B)- P

p ( BOC )
= P ( B ) P (C )
)
) P (B ) + P ( A) PCB
= 1 - P (A '

P (AΛ B Λ C )
=
P ( A ) P (B ) PLC ) ,

=
[1 -

P(A)] -

PB [ 1 - P
(A ) ]

P (B)]
- P (A ) ) [
1
(
-

=
1

=
P ( AYP ( BC )
Similarly
.

②③ P ( AMCE ) = P ( AP ( C
以

P [ B <^ [ ) = P [ BCYP ( C )

' nc
' Anp ∴ ( AUBOc
P [ B 7 C ) + PLAMBnCI }
P ( AMB ^Λ c ) =| - ( AUDUC ) = [ P ( A) P ( ) + P [4
+ P ( AMD ) P (] nc )
-
-

→
-

P 1

( A >P [ ε) +P(B PEE ) - PCB ) P (

PIAIPCBI C) -P
)

=
)1 -

P( A[ I P( B3 P(
3
以

] P [ B ) P ( C) [ 1 P [A]
-

P ( c) [ P [ A ) +
P(A) ] )
[ ) P(B) [1
-

=
1 P( A1
-

P ( B ) P( C ) ]
=
[1 - P ( 15 ) ) ( 1

- P (B ) -

P (c ) + ,

= { /

-P [A ) ] ( 1 -

P [ (1 D ) > [ - P ( < ) 1
= P [ AC ] P ( BYP [ < )
N
λx =
{ 1
,
2
,
} ,
4 5
, ,
63 ,

Xiseven
Y =

{ b ! x isodd ,

(
0 | f(x )
) X
;
|

6 0 ㄛ
|

2 了 % ㄛ

⑯
( ,y = ( ,

京 :
0 1 0 ( , ( , ,
fxy( x y
, )
411 , 5 , 01 ! (

{
1
2 )
6 "
) ,

= 5
, 1 0
(
,
(
,

⑯
.

品
)
!

了 古
) 0 W
6 化 i
, .

0
|

f(Y
丫
)
Ʃ Ʃ

b$ No , fxixl , 0 |= 式
{(1 feiyl1
∵

but 1 F fxllfy o )!
f i xi in
,
(0)
,

) ,

,
= (
 X ~ N ( 3
, 1)
,
H ~
Ber ( i ) ,

itHx
X
{
,

Y =

, iFH = )

( a) P( Y = X ) = P( H = 1 ) =
{ p (Y
去

=
-

X 1 = P( H =
0 ) =Ʃ ,
a) P( ※ Ai ) ≤ i
Since A
, Ac ,

…
, An are indep) P ( ※ ,
Ai ) =
P ( Ai )

P(及 )+ P ( An )
PCA
+

By算幾不等式
…
,

≥^ , … ( An )
n
P

,
I

"
" P ( Ai

n
) 2 ( P :A 0 F
i
(P( % ,
Ai )) ≤π
P ( 鎌 Ai ) ≤ 成 ,

$ ) Suppose P(A )+P(A 、 ) =

1 , and A
, . is apartition
,

Then A= A 2 Ai, = A , ,

And ( AAc )
'
= AMA : = A , MAY

# P ( =|
A UA P(A
,
2
-

, UA > ) =
P( A MA )
,
. ≤☆= F
1 -

P ( A 、 UA ) 2 ≤☆ P ( A UA ) ,
2 ≥ 亞 ⽗
 ⼀

n 组

區⼀
E( × ) =
忌 n , P(X = n )

= P (x = 1 ] + 2 P (X = 2 ) + 3 .

P [X = ]] + 4 .

P( x = 4) + …

.
P( P ( x= 4)
P(x P {x 2) + x=} ) + +
P(X ≥ 1
…

= = 1 ) + =
=
)

+ P (x = 2 ) + P (x = 3) + P( x = 4) + …
=P ( X ≥ )

+ P (x = 3 ] + P( X = 4) + …
. = P { X≥ 7 ]

+ P {x = 41 + … …
=
P (X < 4]

=
P(X ≥ 11 + P(x ≥ 2) +P [X ≥ 3 ) + ,

=Ʃ∴ P ( x ≥ n )

⼆惑 Plx > n)
,
 Sjx 211
@) E (X ) 1 dx
=
- x

2
'
=
Ss 2 x -
2 x dx

÷x 引! 5
^ 3
=
=
x -

b> { ix
2 2
: E (X ) =
.

219 -

x ) dx

≥ 3
=
Si 2x -

zx dx

Ʃ x 41 j ; Ʃ 5
β

=③ x =
-

-
:

Varlx )
2 I
: = E (X ) .

[ E ( x1 ]

=
5 -

☆= 份 .

= 2

Var ( x ) = E (X) -

]
EX 2 11 -

} = 2

∞r (X () E ( XY 1 E ( λ ) E (Y/ = 15 . 4 =
33
-
= -

Varl 3 X -

2 Y) = Varl 3 x ) + Var ( -
2Y) + 2 Gr ( 3 x ,
-
2<]

= 9 Var ( x ) + 4 Var ( k ) -

12 Gv ( X ×),

182
=+ 3 36 = -

仪
的 (汗 )
, Y = 3 x

"
il 題⽬有誤
"
,
! "
 3
=
λ= 0 . 93 ,

X √ Poi ( 0
.
93 ) ,

-3 .
93 了

C -

( 93 )
0
.

∴ P( x = 3) =

X ~ PBi ( x
) ,
Y PoilU
~
) , XLY

Z = X+Y

P( z = k) = P( x +( = k) =

= P ( x = k- t | =t
Y )

,P Y
(

=Ʃ
t = ,
P ( x k ti = -

( = t)
,
=

P( x = - / P (Y t )
k
t

e
"
xkt elut
= Ʃ !七 !
t= 0
(k t ) -

-x
,
ktut
:
e
入
≥
"
+

K ! t !
⼆項式
( \ tu )
k
-

e
=
⼀

( λ+ u )
k! .

∴ E =
X + Y ~ Poi ( λ+ U ) *
 X, …

,
Xn iiddiscrete Unif { 1
,
2
,
…

,
k} ,

ie P ( xi = t) =π ,
t = 1 ,
2
,

…
, k

Y = min [ x, …

,
Xn ) ,

Y P (Y-
= Plmin { ixa ) y
" = Plxy , xiy itn X
,
1 -
,

直
"" "P
=
)
( x ) YP ( x. y 1…
>
( xn > y ) Pixiy >
P
=

式 1 - π
1
) = ( 1 - a

nytz
)
(

" -
Similarly , P ( Yzy + 1 ) = (

) 1
-

I
∞
)
"
∴ P ↑Y Y ) P (Y 2 Y - P( Y ≥ Y + 1 )
= ( - - ( π
- *
=
1

=
^

|
T : 擲到 6 需要投幾次 . ,

@) P (T = t) = ( ) i ) ,t 1
,2 ,
)
, …

$) P ( T > 3) =| -

P(T =
11 -

P 1T = 21 -

P (T = 3 )

P
“ (T= 4 ) + P ( T = 5 )+ P (T = 6 )+ …

”
+

5j [ ( 無窮等比 ]
⾶ ( " )

=÷
(
ij = ( 5 =Ʃ )
5

1
: *

P 1 T> 6 T >) P (T > 6)

() P ( T > 61 T > 3) =
,

P(T > 3 ) P (T > 3 )

P (T > 6 ) = P (T = 7 ] + P( T =
8 ) + …

)
(
t” )
(
105
)
0

=☆ * - 0 =(π ,

( 51030 "

5
^
∴
P ( T > 61 T> 3 ) = = [ 8 ) == x
( 510 P
λ~ exp ( λ )
⼀入 x

1 e
f Fλ x =
P ( x≤ x ) - -

-
eλ e
λx

P( x x) 1 - 1 x ) = x > 0

) > =
( ,
,

P /X > xty X > x )

y | X x)
,

P (x > x+ > =

P (X > x )

P( X > x+ Y )

P ( X >× )

-
λ (x + Y )

=
e
-

入 x

-
ny
=
e

= P (X > y) ,
和 λ , Y > 0
@1 : E (Y )
=☆= 2
,
Vav (y )
=≥
x
→
{ 器 ,

e
) ^ ( ay
"
"y ,
∴ .Y r
gamma l 2, 1 )
,fyly |= pla :

pi 2
= YeY y
> 》 ,

* 45

" dy . = ( | y"
ye
$) P ( Y ≤ 4 5 ) =
S 1- e ) = 1 -
e ,
x
.

=
5

X -
N( Ux ,
5
} ) , Y
~ N ( Ux , σ
. l) .
XLY ,

Vav ( X ( 1 ]( XY ) [ , XY ) = ( X1 E ( Y ) UxMe
)
(
^
= E (x y - E

(
E =
.
: XLY )

ply }
' - Uyi
. oaxlx aJexp
- Ux
fxinlxy 1 = Zxexp } -
)

{
2

后
(
.

21
E ( X dy ∞ xy
dx fxislx , y ) F
Jaf -
'

)
E (Y

uy "
J 品x oexp { - ,
x - Ux }
-ayajgexpE ifz
'
} dydx
-

f
"
=

區 (
5

-
-

E ( XF ]

( yc ) [ x
品

exp - τ
x Ux )
"

πσ } dY E ( X ) ElY ]
-

= E { =
,(
5

E ( XY Mk
'
= Var ( x ) + E(x
2
=σ x <+ Ux
<
,
E (Y) =σ
4 + ,

Ux) ( σi ' + U . ) - UU ?
- [ ( ] ^=
'
Var ( XY = E ( ^Y
X
XY (σ
i

∴ 1 +
x
)

tMxσ
5

X '5 x'
.

: σ i '+ l
'

*
i